Step three:

In a new layer, draw a #007EFF circle. Keep the size smaller than the third circle you created earlier.

Add the following layer styles: Inner Glow, Satin, Gradient Overlay, Stroke.

Step four:

In a new layer, draw a black circle, same size as step three when you add the layer styles.

Add the following layer styles: Drop Shadow, Inner Glow, Gradient Overlay, Stroke.

Set the layer's blending mode to Lighten.